Accession Number:

AD0605739

Title:

ON STOCHASTIC APPROXIMATION METHOD AND OPTIMAL FILTERING THEORY,

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CALIF

Personal Author(s):

Report Date:

1962-08-01

Pagination or Media Count:

6.0

Abstract:

This paper establishes some connections among the maximum likelihood estimate, the optimal filtering and the stochastic approximation solutions to the following well-known problem Consider the vector-matrix equations Ax v sub k b sub k 1, 2, ... where A is a given r x n matrix x is an unknown n-vector v sub k is a random r-vector with Ev sub k 0 and Ev sub k v sub j I deltak - j b sub k is a r-vector of observation. It is desired to determine an estimate x for the unknown parameters x which is optimal in some sense.

Subject Categories:

Distribution Statement:

APPROVED FOR PUBLIC RELEASE